Xiva Asset Management Limited : Axiom Intraday Futures Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Jan Performance -2.37% Min Investment $ 100k Mgmt. Fee 0% Perf. Fee 30.00% Annualized Vol 9.36% Sharpe (RFR=1%) -1.70 CAROR - Assets $ 200k Worst DD -6.80 S&P Correlation -0.24 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page Growth of 1,000 - VAMI Monthly Performance Export Data Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Period Returns Program / Index Jan Qtr YTD 1yr 3yr 5yr 10yr Since9/2012 Axiom Intraday Futures -2.37 - - - - - - -6.19 S&P 500 5.04 - - - - - - 140.49 +/- S&P 500 -7.41 - - - - - - -146.68 Strategy Description SummaryAXIOM is an intraday trading strategy for futures based on volatility breakouts. The strategy will take long or short positions when an increase in volatility and trending bias has been detected. A special filter allows the system to capture intraday trends in their infancy and avoids... Read More Account & Fees Type Managed Account Minimum Investment $ 100k Trading Level Incremental Increase $ 100k CTA Max Funding Factor 2.00 Management Fee 0% Performance Fee 30.00% Average Commission $6.00 Available to US Investors Yes Subscriptions High Water Mark No Subscription Frequency Daily Redemption Frequency Daily Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 3600 RT/YR/$M Avg. Margin-to-Equity 20% Targeted Worst DD -20.00% Worst Peak-to-Trough 20.00% Sector Focus Diversified Traders Holding Periods Over 12 Months 4-12 Months 0% 1-3 Months 0% 1-30 Days 0% Intraday 100.00% Decision-Making Discretionary 0% Systematic 100.00% Strategy Trend-following 100.00% Composition Stock Indices 60.00% Energy 30.00% Interest Rates 10.00% SummaryAXIOM is an intraday trading strategy for futures based on volatility breakouts. The strategy will take long or short positions when an increase in volatility and trending bias has been detected. A special filter allows the system to capture intraday trends in their infancy and avoids opening positions when the trend has gone too far. Each open position is protected by a volatility based stop. All positions are closed at the end of the day. AXIOM consists of a fully automated portfolio trading the following futures markets: Crude Oil, Eurex Dax, Eurex Bund, Nat Gas, Mini Russell, Emini S&P Midcap 400, Ibex35. The same system parameters are applied to all markets in order to minimize the risk of over optimization. The trade management is completely automated and executed in our server hosted in a datacenter in New York. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual Reward Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: Reward Compound RoR: Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year. Drawdown Report Depth Length (Mos.) Recovery (Mos.) Peak Valley -6.80 -1 - 1/1/0001 10/1/2012 Show More Consecutive Gains Run-up Length (Mos.) Start End 3.10 2 11/1/2012 12/1/2012 Show More Consecutive Losses Run-up Length (Mos.) Start End -6.80 2 9/1/2012 10/1/2012 -2.37 1 1/1/2013 1/1/2013 Show More Time Windows Analysis 1 Month Number of Periods5.00 Percent Profitable40.00 Average Period Return-1.24 Average Gain1.55 Average Loss-3.10 Best Period2.51 Worst Period-4.04 Standard Deviation2.70 Gain Standard Deviation1.36 Loss Standard Deviation0.86 Sharpe Ratio (1%)-0.49 Average Gain / Average Loss0.50 Profit / Loss Ratio0.33 Downside Deviation (10%)2.77 Downside Deviation (5%)2.52 Downside Deviation (0%)2.46 Sortino Ratio (10%)-0.60 Sortino Ratio (5%)-0.52 Sortino Ratio (0%)-0.50 Top Performer Badges Index Award Type Rank Performance Period Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. x {{title}} x {{title}} Add Cancel